A mixed singular/switching control problem with terminal cost for modulated diffusion processes

被引：0
|
作者：
Kelbert, Mark [1 ]
Moreno-Franco, Harold A. [1 ]
机构：
[1] Natl Res Univ, Dept Stat & Data Anal, Lab Stochast Anal & Its Applicat, Higher Sch Econ, Moscow, Russia
来源：
NONLINEAR ANALYSIS-HYBRID SYSTEMS | 2024年 / 51卷
基金：
俄罗斯科学基金会;
关键词：
Singular/switching stochastic control problem; Modulated multidimensional diffusion process; Hamilton-Jacobi-Bellman equations; Non-linear partial differential system; REGIME; EQUATIONS; SYSTEMS;
D O I：
10.1016/j.nahs.2023.101439
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
In this paper, we study the regularity of the value function associated with a stochastic control problem involving two controls that act simultaneously on a modulated multidimensional diffusion process. The first is a switching control modelling a random clock. Whenever the random clock rings, the generator matrix is replaced by another, leading to a different dynamic for the finite state Markov chain of the modulated diffusion process. The second is a singular stochastic control that is executed on the process within each regime.
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页数：21
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